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Asset and Liability Management for Actuaries

  • Teacher(s):   J.Wagner  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2022-2023, 4.0h. course (weekly average)
  •  sessions
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Actuarial Science
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Objectives

  • Provide an understanding of an insurance company’s strategic objectives and the relevance of a sound management of assets and liabilities.
  • The course describes and profoundly discusses concepts for the management of assets and liabilities in insurance companies. Initially, asset and liability management are considered separately. Finally, asset and liability sides are combined with the purpose of developing integrated approaches.
  • Asset Management
    Introduce the most important asset classes, the construction of diversified portfolios, the asset allocation and performance management, aspects of stochastic modeling and investment regulation in insurance.
  • Liability Management
    Review and extend on the concepts of risk pricing, pooling and sharing; introduce current methods of alternative risk transfer.
  • Asset and Liability Management
    Introduce the basic techniques, valuation and accounting procedures as well as solvency regulation and risk capital models; lay the basis for developing ALM models through case study analyses, including ESG factors.

Contents

  • Part 1. Introduction
    Topic 1 – Strategic objectives of an insurance company
    Topic 2 – What is asset-liability management and why is it important?
  • Part 2. Asset Management
    Topic 3 – On the role of insurers and pension funds as institutional investors
    Topic 4 – Revisiting investments and asset classes from an insurer perspective
    Topic 5 – Portfolio theory and applications to insurer’s asset management
    Topic 6 – Elements of asset pricing, return modeling and risk measurement
    Topic 7 – Strategic asset management and performance measures
    Topic 8 – Investment regulation
  • Part 3. Liability Management
    Topic 9 – Risk pricing
    Topic 10 – Risk pooling
    Topic 11 – Risk sharing and reinsurance
    Topic 12 – Alternative risk transfer and securitization solutions
  • Part 4. Asset-Liability Management
    Topic 13 – Asset-liability management techniques and their characteristics
    Topic 14 – Insurance valuation and accounting
    Topic 15 – Solvency regulation and risk capital models

References

Comprehensive set of lecture slides and notes as provided.

Additional readings as provided during the course.

Guest lecture(s).

Pre-requisites

  • No hard prerequisites, basic knowledge in actuarial science is expected
  • General interest in the economy and the insurance industry
  • No further particular/formal requirements

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:
  • Mid-term exam during the semester: 1 hour, closed-book, scientific calculator
  • Group presentations during the semester: individually assigned topics
  • Exam: 3 hours, closed-book, scientific calculator
  • Evaluation: Final grade = 50% grade of the exam + 20% grade of the mid-term exam + 30% grade of the group presentations

Retake

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:
  • Integrative exam: 3 hours, closed-book, scientific calculator
  • Evaluation: Final grade = grade of the integrative exam (100%)



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